Autocorrelated Shock: White Noise Exogenous Variables. II

  • Agustin Maravall
  • Klaus Neumann
  • Ulrich Steinhardt
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 165)

Abstract

Let the shock ut be the outcome of a stochastic process with an auto-correlation function that combines the two previous cases. We shall assume that ut follows in general an Autoregressive-Moving Average process of orders r and s, respectively [ARMA(r, s)], given by
$${R_r}\left( L \right){u_t} = {S_s}\left( L \right){a_t}.$$
(4.1)

Keywords

Covariance 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1979

Authors and Affiliations

  • Agustin Maravall
  • Klaus Neumann
    • 1
  • Ulrich Steinhardt
    • 2
  1. 1.Institut für Wirtschaftstheorie und Operations ResearchUniversität KarlsruheKarlsruheGermany
  2. 2.Bonn 3Germany

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